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一只可爱的猪 · 2021年04月07日

Small stock premiums are associated with build-up models and the expanded CAPM, rather than the CAPM per se.

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ201512300100001305

问题如下：

5. Regarding the two statements about discount rate estimates, Chin is:

选项：

A.

correct with respect to adding the small stock premium and correct with respect to the weighted average cost of capital.

B.

correct with respect to adding the small stock premium and incorrect with respect to the weighted average cost of capital.

C.

incorrect with respect to adding the small stock premium and incorrect with respect to the weighted average cost of capital.

解释：

C is correct.

Both statements by Chin are incorrect. If the CAPM is used with public companies with similar operations and similar revenue size, as stated, then the calculation likely captures the small stock premium and should not be added to the estimate. Small stock premiums are associated with build-up models and the expanded CAPM, rather than the CAPM per se. The correct weighted average cost of capital should reflect the risk of Thunder’s cash flows not the risk of the acquirer’s cash flows.

这句话是什么意思？这道题目哦，想问一下，首先，我们可以寻找相似的公司来进行类比，但是上市公司和非上市公司在规模上应该是由差异的吧，为什么不考虑一个额外的premium？

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1 个答案

Debrah_品职答疑助手 · 2021年04月07日

嗨，努力学习的PZer你好：


首先，这道题的题干有一个关键词“similar”，我们找的可比公司已经是从经营到收入都和T公司非常的相似（相当于告诉我们可比公司和T的规模相似），因此我们用这样的可比公司数据计算得到的re 已经考虑到了规模的差距。不需要额外再加上一个规模的溢价。

其次，要明确CAPM作为单因素模型，它的缺点太明显了，它只适用于大的成熟的上市公司。因此只要不是大的成熟的上市公司，我们就要考虑它所面对的除了系统性风险以外的所有风险，那么有几个风险，我们就要再加上几个风险补偿，这样计算出来的要求回报率才最准确。这就是题目中说的expanded CAPM，类似Build-up Method。

最后，per se是“本身”的意思，在答案解析里指的就是单因素模型的经典CAPM模型。

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